恒生股指期货与现货市场波动溢出效应实证分析  

An empirical analysis of the volatility and spillover effects of the Hang Seng stock index future and spot market

作　　者：张宗成[1] 王郧[1] 

机构地区：[1]华中科技大学经济学院,武汉430074

出　　处：《美中经济评论》2008年第6期1-10,共10页Meizhong Jingji Pinglun

基　　金：本文系国家自然科学基金资助课题研究论文（项目编号：70441022）.

摘　　要：本文是针对股指期货市场的波动溢出效应所做的研究。使用香港交易所上市的恒生股指期货和恒生指数作为研究对象，首先利用各种计量检验，探讨了期货市场和现货市场之间的联动关系；其次利用GARCH模型探讨和刻画了期货市场封现货市场的溢出效应，最后得出了相关的结论。This paper is directed against the stock index futures market volatility spillover effects of study. Because there are no domestic stock index futures nowadays, we use the Hang Seng index futures and the Hang Seng index as the object of study, exploring their fluctuations and spillover effects. First, we analyze the trends and characteristics of the study and lay the groundwork of the demonstration. Second, we use ADF test and VEC models to explain the volatility effect in the stock index futures market. Then we use statistics test and GARCH models to explain the spillover effect of the futures to index, and it is the most important part of the research.

关 键 词：波动溢出 单位根 协整 VEC E-GARCH 

分 类 号：F830.9[经济管理—金融学] F830.91